Drawdown formula

  • I think I have run into excel limitations at last. My 32-core PC is finding it hard to calculate the running sum on a 250000 row column and I need to test

    a few parameters which will lead to different values in this column. This running sum is used to create the account trading curve - find maximums on this curve and then subtract and subsequent data point from this maximum to get the drawdown. Now my pc refuses to create this curve due to overload.


    I wonder if there is an alternative way to calculate maximum drawdown on a trading curve?

    For this I need to find the maximum value of the difference between the earlier peak and the active point divided by the peak. Can this be done in a single formula?


    here are some sample data points.


    -18.5
    -28.5
    71.5
    61.5
    51.5
    41.5
    31.5
    31.5
    21.5
    11.5
    1.5
    -8.5
    -18.5
    -28.5
    -38.5
    -48.5
    -58.5
    41.5
    31.5
    21.5
    11.5
    111.5
    101.5
    91.5
    81.5
    181.5
    171.5
    161.5
    151.5
    141.5
    131.5
    121.5
    111.5
    101.5
    91.5
    81.5
    81.5
    71.5
    61.5
    51.5
    41.5
    31.5
    21.5
    11.5
    1.5
    -8.5
    91.5
    81.5
    71.5
    61.5
    161.5
    151.5
    141.5
    131.5
    231.5
    221.5
    211.5
    201.5
    191.5
    181.5
    171.5
    161.5
    151.5
    141.5
    131.5
    131.5
    121.5
    111.5
    101.5
    91.5
    81.5
    71.5
    61.5
    51.5
    41.5
    141.5
    131.5
    121.5
    111.5
    211.5
    311.5
    411.5
    401.5
    501.5
    491.5
    481.5
    471.5
    461.5
    451.5
    441.5
    431.5
    421.5
    411.5
    401.5
    401.5
    391.5
    381.5
    371.5
    361.5
    351.5
    341.5
    331.5
    321.5
    311.5
    301.5
    291.5
    281.5
    271.5
    261.5
    251.5
    241.5
    341.5
    331.5
    321.5
    311.5
    301.5
    291.5
    281.5
    381.5
    371.5
    361.5
    351.5
    341.5
    341.5
    331.5
    321.5
    311.5
    411.5
    401.5
    501.5
    491.5
    481.5
    471.5
    461.5
    451.5
    441.5
    431.5
    421.5
    411.5
    401.5
    391.5
    381.5
    371.5
    361.5
    351.5
    341.5
    331.5
    431.5
    421.5
    411.5
    401.5
    391.5
    391.5
    381.5
    371.5
    361.5
    461.5
    451.5
    441.5
    431.5
    421.5
    411.5
    401.5
    391.5
    491.5
    481.5
    471.5
    461.5
    451.5
    441.5
    431.5
    531.5
    521.5
    511.5
    501.5
    491.5
    591.5
    581.5
    571.5
    561.5
    551.5
    551.5
    541.5
    531.5
    521.5
    621.5
    611.5
    601.5
    591.5
    581.5
    571.5
    561.5
    551.5
    541.5
    531.5
    631.5
    621.5
    611.5
    601.5
    701.5
  • In essense I need to find HOW STRAIGHT A LINE IS - now matter the slope....can it be done with the simple linest or intercept formulas? I woudl need to create a line and then compare the original curev to this line to see hwo far it digresses from the estimated line - is there a formula for this?

  • IT TURNED OUT the running maximum formula was operating on 20 billion cells at one iteration - the solution was just running the high water mark when it changes - not calculating maximum on all previous cells - now in stead of 20 billion claucltotions the PC has to perform only 250 k - fabulous!